Asymptotic Inference for Jump Diffusions with State-Dependent Intensity
37 Pages Posted: 11 Jul 2013 Last revised: 13 Feb 2015
Date Written: December 2014
We establish the Local Asymptotic Normality (LAN) property for a class of parametric jump-diffusion processes with state-dependent intensity and known volatility function sampled at high-frequency. We prove that the inference problem about the drift and jump parameters is adaptive with respect to parameters in the volatility function that can be consistently estimated.
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